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~isPartOf:"International journal of theoretical and applied finance"
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Option valuation, optimization...
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Option pricing theory
467
Optionspreistheorie
467
Theorie
247
Theory
247
Stochastic process
246
Stochastischer Prozess
246
Portfolio selection
220
Portfolio-Management
220
Volatility
169
Volatilität
169
Derivat
112
Derivative
112
Option trading
85
Optionsgeschäft
85
Hedging
75
Black-Scholes model
51
Black-Scholes-Modell
51
Credit risk
46
Kreditrisiko
46
CAPM
45
Yield curve
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Zinsstruktur
45
Risiko
40
Risk
40
Mathematical programming
37
Mathematische Optimierung
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Markov chain
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Statistical distribution
34
Statistische Verteilung
34
Markov-Kette
33
Monte Carlo simulation
30
Monte-Carlo-Simulation
30
Martingal
29
Martingale
29
Incomplete market
27
Unvollkommener Markt
27
option pricing
27
Risikomaß
26
Risk measure
26
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Fabozzi, Frank J.
10
Kwok, Yue-Kuen
10
Levendorskij, Sergej Z.
10
Korn, Ralf
9
Benth, Fred Espen
7
Elliott, Robert J.
7
Račev, Svetlozar T.
7
Takahashi, Akihiko
7
Gapeev, Pavel V.
6
Jeanblanc, Monique
6
Liu, Rui Hua
6
Bojarčenko, Svetlana I.
5
Brigo, Damiano
5
Hui, Cho H.
5
Jaimungal, Sebastian
5
Joshi, Mark S.
5
Konno, Hiroshi
5
Lo, C. F.
5
Oosterlee, Cornelis W.
5
Siu, Tak Kuen
5
Wilmott, Paul
5
Arai, Takuji
4
Avellaneda, Marco
4
Bernard, Carole
4
Cartea, Álvaro
4
Chiarella, Carl
4
Ekström, Erik
4
Hess, Markus
4
Hughston, Lane P.
4
Kim, Young Shin
4
Leung, Tim
4
Macrina, Andrea
4
Pallavicini, Andrea
4
Platen, Eckhard
4
Wu, Lixin
4
Zubelli, Jorge P.
4
Baviera, Roberto
3
Bielecki, Tomasz R.
3
Bouchaud, Jean-Philippe
3
Boyarchenko, Mitya
3
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International journal of theoretical and applied finance
Journal of banking & finance
820
The journal of futures markets
768
Finance research letters
678
NBER working paper series
674
Working paper / National Bureau of Economic Research, Inc.
585
European journal of operational research : EJOR
556
Insurance / Mathematics & economics
495
NBER Working Paper
479
Energy economics
463
Mathematical finance : an international journal of mathematics, statistics and financial theory
412
Finance and stochastics
394
Quantitative finance
393
International review of financial analysis
392
Journal of economic dynamics & control
365
Journal of financial economics
362
Applied economics
339
The journal of finance : the journal of the American Finance Association
322
Applied mathematical finance
311
Research paper series / Swiss Finance Institute
303
Risks : open access journal
284
The journal of computational finance
283
International review of economics & finance : IREF
278
Economic modelling
274
The journal of asset management
271
The journal of portfolio management : a publication of Institutional Investor
269
The European journal of finance
265
Journal of empirical finance
264
The review of financial studies
263
Discussion paper / Centre for Economic Policy Research
261
The North American journal of economics and finance : a journal of financial economics studies
257
Journal of financial and quantitative analysis : JFQA
255
Management science : journal of the Institute for Operations Research and the Management Sciences
253
SpringerLink / Bücher
246
Economics letters
245
Applied economics letters
240
The journal of derivatives : the official publication of the International Association of Financial Engineers
240
Computational economics
237
Working paper
231
Journal of risk and financial management : JRFM
225
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ECONIS (ZBW)
661
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1
Valuation of options on oil futures under the 3/4 oil price model
Oud, Mohammed A. Aba
;
Goard, Joanna
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011418854
Saved in:
2
Commodity price dynamics and derivative valuation : a review
Back, Janis
;
Prokopczuk, Marcel
- In:
International journal of theoretical and applied finance
16
(
2013
)
6
,
pp. 1-30
Persistent link: https://www.econbiz.de/10010197182
Saved in:
3
Smile modeling in commodity markets
Nastasi, Emanuele
;
Pallavicini, Andrea
;
Sartorelli, Giulio
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012271006
Saved in:
4
Forward and futures prices with bubbles
Jarrow, Robert A.
;
Protter, Philipp
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 901-924
Persistent link: https://www.econbiz.de/10003928307
Saved in:
5
Multiscale stochastic volatility model for derivatives on futures
Fouque, Jean-Pierre
;
Saporito, Yuri F.
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-31
Persistent link: https://www.econbiz.de/10010498865
Saved in:
6
The evaluation of multiple year gas sales agreement with regime switching
Chiarella, Carl
;
Clewlow, Les
;
Kang, Boda
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011453874
Saved in:
7
Simultaneous calibration to a range of portfolio credit derivatives with a dynamic discrete-time multi-step Markov loss model
Walker, Michael B.
- In:
International journal of theoretical and applied finance
12
(
2009
)
5
,
pp. 633-662
Persistent link: https://www.econbiz.de/10003899505
Saved in:
8
Probability distribution and option pricing for drawdown in a stochastic volatility environment
Yamamoto, Kyo
;
Sato, Seisho
;
Takahashi, Akihiko
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
Saved in:
9
Tracking errors from discrete hedging in exponential Lévy models
Brodén, Mats
;
Tankov, Peter
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 803-837
Persistent link: https://www.econbiz.de/10009381005
Saved in:
10
Dynamic conic finance : pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Iyigunler, Ismail
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
1
,
pp. 1-36
Persistent link: https://www.econbiz.de/10009725092
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